Cumulative TICK Hits a Two-Year High
By
Rennie on Monday, August 29th, 2011 at 9:52 pm
NYSE TICK action was relentlessly positive Monday, leading to an end-of-day Cumulative TICK in the +140,000 range, its highest close since March 12th, 2009. This marks the second big Cumulative TICK reading in the SPX 1200 area. You might recall I questioned whether the last two-month high reading on August 15th would lead to the typical intermediate-term advance. Until today it looked like that was right, but now we have another two-month high Cumulative TICK reading in the same vicinity. The last one did indeed end up leading to a higher SPX ten sessions later, so it’s hard to dismiss this one, particularly given the back-to-back 90% up volume days on the NYSE. I didn’t find a single instance of consecutive 90% up volume days over the last twenty years, but in general a cluster of lopsided up volume days is usually a positive sign for the intermediate-term.
Volume was unusually light for such a strong advance, which is generally a negative sign for the short-term. Given the circumstances it wasn’t unusual to see such low volume, but nonetheless here’s a rundown of the Nasdaq’s performance in the week following a session with a 3%+ gain that coincided with a 5-day low for volume…
Nasdaq Comp +3% and Nasdaq Volume 5-day Low
08/29/11… ???
08/11/11… Nasdaq -4.5% one week later
05/10/10… Nasdaq -0.9% one week later
05/18/09… Nasdaq +1.0% one week later
11/26/08… Nasdaq -5.7% one week later
10/20/08… Nasdaq -14.9% one week later
10/13/08… Nasdaq -4.0% one week later
03/24/08… Nasdaq -2.1% one week later
11/27/02… Nasdaq -5.2% one week later
07/05/02… Nasdaq -5.2% one week later
05/13/02… Nasdaq +3.0% one week later
03/19/01… Nasdaq -1.7% one week later
11/24/00… Nasdaq -8.9% one week later
04/07/00… Nasdaq -25.3% one week later
03/09/00… Nasdaq -6.5% one week later
01/15/99… Nasdaq +0.9% one week later
10/12/98… Nasdaq +6.6% one week later
08/27/90… Nasdaq +0.1% one week later
Out of 17 occurrences, only 2 led to a Nasdaq up more than 1% one week later, while 9 instances led to a drop of at least 4%.
I’d also note that the SPX recouped the 1.6% selloff from last Thursday today, triggering the 2-4 day sell signal recently discussed in this August 12th column, suggesting further upside over the near-term could prove to be a short-term sell.
For Tuesday, keep an eye on today’s high at SPX 1210.28. A break of that level would trigger a one-day buy signal and point to a close above 1210 on Tuesday. See that same August 12th column for details.
Assuming we trade above Monday’s high, I’d look for a small end-of-day gain of less than 0.5%. The reasoning is that Monday’s relentlessly positive NYSE TICK action points to limited upside potential on Tuesday. TICK didn’t even trade below -900 on Monday, its highest intraday low since July 1st. When the SPX hits a 15-day high on the same day that the NYSE TICK posts its highest low in 15 days, the S&P’s upside potential is usually capped at the 0.5% level the next session. Below is every instance since 2005 in which the S&P500 closed at a 15-day high and the NYSE TICK posted its highest low of the last 15 sessions. Note how unusual it’s been to see any sort of substantial gain the next day, with only two instances out of 48 leading to a gain of more than 0.6%…
SPX 15-day High, NYSE TICK Highest Low in 15 Days
08/29/11… S&P500 ???
06/30/11… S&P500 +1.4% next day (*)
04/29/11… S&P500 -0.2% next day
04/26/11… S&P500 +0.6% next day
04/21/11… S&P500 -0.2% next day
02/01/11… S&P500 -0.3% next day
12/22/10… S&P500 -0.2% next day
12/02/10… S&P500 +0.3% next day
11/04/10… S&P500 +0.4% next day
09/24/10… S&P500 -0.6% next day
09/20/10… S&P500 -0.3% next day
07/26/10… S&P500 -0.1% next day
06/15/10… S&P500 -0.1% next day
04/05/10… S&P500 +0.2% next day
03/05/10… S&P500 -0.0% next day
02/18/10… S&P500 +0.2% next day
12/24/09… S&P500 +0.1% next day
12/22/09… S&P500 +0.2% next day
11/09/09… S&P500 -0.0% next day
10/19/09… S&P500 -0.6% next day
09/22/09… S&P500 -1.0% next day
09/16/09… S&P500 -0.3% next day
08/21/09… S&P500 -0.1% next day
07/15/09… S&P500 +0.9% next day (*)
05/18/09… S&P500 -2.2% next day
04/09/09… S&P500 +0.3% next day
08/05/08… S&P500 +0.3% next day
05/15/08… S&P500 +0.2% next day
05/01/08… S&P500 +0.3% next day
05/30/07… S&P500 +0.0% next day
05/02/07… S&P500 +0.4% next day
04/05/07… S&P500 +0.1% next day
01/24/07… S&P500 -1.1% next day
10/16/06… S&P500 -0.4% next day
10/12/06… S&P500 +0.2% next day
10/04/06… S&P500 +0.2% next day
08/16/06… S&P500 +0.2% next day
07/03/06… S&P500 -0.7% next day
06/29/06… S&P500 -0.2% next day
05/05/06… S&P500 -0.1% next day
04/05/06… S&P500 -0.2% next day
02/16/06… S&P500 -0.2% next day
11/25/05… S&P500 -0.9% next day
11/02/05… S&P500 +0.4% next day
09/09/05… S&P500 -0.1% next day
08/02/05… S&P500 +0.1% next day
05/27/05… S&P500 -0.6% next day
05/18/05… S&P500 +0.5% next day
02/04/05… S&P500 -0.1% next day
If the SPX trades above 1217 Tuesday, especially early in the day, it could represent intraday resistance. That could turn into a multi-day top if previously mentioned sell signals prove accurate. Wednesday will be particularly key given it’s the last day of the month. If we finish above 1200, the monthly moving average strategy will remain on a buy signal, in which case it will be most interesting to see whether CTA’s give up on their bearish outlook.
Cumulative TICK Hits a Two-Year High
By Rennie on Monday, August 29th, 2011 at 9:52 pmNYSE TICK action was relentlessly positive Monday, leading to an end-of-day Cumulative TICK in the +140,000 range, its highest close since March 12th, 2009. This marks the second big Cumulative TICK reading in the SPX 1200 area. You might recall I questioned whether the last two-month high reading on August 15th would lead to the typical intermediate-term advance. Until today it looked like that was right, but now we have another two-month high Cumulative TICK reading in the same vicinity. The last one did indeed end up leading to a higher SPX ten sessions later, so it’s hard to dismiss this one, particularly given the back-to-back 90% up volume days on the NYSE. I didn’t find a single instance of consecutive 90% up volume days over the last twenty years, but in general a cluster of lopsided up volume days is usually a positive sign for the intermediate-term.
Volume was unusually light for such a strong advance, which is generally a negative sign for the short-term. Given the circumstances it wasn’t unusual to see such low volume, but nonetheless here’s a rundown of the Nasdaq’s performance in the week following a session with a 3%+ gain that coincided with a 5-day low for volume…
Nasdaq Comp +3% and Nasdaq Volume 5-day Low
08/29/11… ???
08/11/11… Nasdaq -4.5% one week later
05/10/10… Nasdaq -0.9% one week later
05/18/09… Nasdaq +1.0% one week later
11/26/08… Nasdaq -5.7% one week later
10/20/08… Nasdaq -14.9% one week later
10/13/08… Nasdaq -4.0% one week later
03/24/08… Nasdaq -2.1% one week later
11/27/02… Nasdaq -5.2% one week later
07/05/02… Nasdaq -5.2% one week later
05/13/02… Nasdaq +3.0% one week later
03/19/01… Nasdaq -1.7% one week later
11/24/00… Nasdaq -8.9% one week later
04/07/00… Nasdaq -25.3% one week later
03/09/00… Nasdaq -6.5% one week later
01/15/99… Nasdaq +0.9% one week later
10/12/98… Nasdaq +6.6% one week later
08/27/90… Nasdaq +0.1% one week later
Out of 17 occurrences, only 2 led to a Nasdaq up more than 1% one week later, while 9 instances led to a drop of at least 4%.
I’d also note that the SPX recouped the 1.6% selloff from last Thursday today, triggering the 2-4 day sell signal recently discussed in this August 12th column, suggesting further upside over the near-term could prove to be a short-term sell.
For Tuesday, keep an eye on today’s high at SPX 1210.28. A break of that level would trigger a one-day buy signal and point to a close above 1210 on Tuesday. See that same August 12th column for details.
Assuming we trade above Monday’s high, I’d look for a small end-of-day gain of less than 0.5%. The reasoning is that Monday’s relentlessly positive NYSE TICK action points to limited upside potential on Tuesday. TICK didn’t even trade below -900 on Monday, its highest intraday low since July 1st. When the SPX hits a 15-day high on the same day that the NYSE TICK posts its highest low in 15 days, the S&P’s upside potential is usually capped at the 0.5% level the next session. Below is every instance since 2005 in which the S&P500 closed at a 15-day high and the NYSE TICK posted its highest low of the last 15 sessions. Note how unusual it’s been to see any sort of substantial gain the next day, with only two instances out of 48 leading to a gain of more than 0.6%…
SPX 15-day High, NYSE TICK Highest Low in 15 Days
08/29/11… S&P500 ???
06/30/11… S&P500 +1.4% next day (*)
04/29/11… S&P500 -0.2% next day
04/26/11… S&P500 +0.6% next day
04/21/11… S&P500 -0.2% next day
02/01/11… S&P500 -0.3% next day
12/22/10… S&P500 -0.2% next day
12/02/10… S&P500 +0.3% next day
11/04/10… S&P500 +0.4% next day
09/24/10… S&P500 -0.6% next day
09/20/10… S&P500 -0.3% next day
07/26/10… S&P500 -0.1% next day
06/15/10… S&P500 -0.1% next day
04/05/10… S&P500 +0.2% next day
03/05/10… S&P500 -0.0% next day
02/18/10… S&P500 +0.2% next day
12/24/09… S&P500 +0.1% next day
12/22/09… S&P500 +0.2% next day
11/09/09… S&P500 -0.0% next day
10/19/09… S&P500 -0.6% next day
09/22/09… S&P500 -1.0% next day
09/16/09… S&P500 -0.3% next day
08/21/09… S&P500 -0.1% next day
07/15/09… S&P500 +0.9% next day (*)
05/18/09… S&P500 -2.2% next day
04/09/09… S&P500 +0.3% next day
08/05/08… S&P500 +0.3% next day
05/15/08… S&P500 +0.2% next day
05/01/08… S&P500 +0.3% next day
05/30/07… S&P500 +0.0% next day
05/02/07… S&P500 +0.4% next day
04/05/07… S&P500 +0.1% next day
01/24/07… S&P500 -1.1% next day
10/16/06… S&P500 -0.4% next day
10/12/06… S&P500 +0.2% next day
10/04/06… S&P500 +0.2% next day
08/16/06… S&P500 +0.2% next day
07/03/06… S&P500 -0.7% next day
06/29/06… S&P500 -0.2% next day
05/05/06… S&P500 -0.1% next day
04/05/06… S&P500 -0.2% next day
02/16/06… S&P500 -0.2% next day
11/25/05… S&P500 -0.9% next day
11/02/05… S&P500 +0.4% next day
09/09/05… S&P500 -0.1% next day
08/02/05… S&P500 +0.1% next day
05/27/05… S&P500 -0.6% next day
05/18/05… S&P500 +0.5% next day
02/04/05… S&P500 -0.1% next day
If the SPX trades above 1217 Tuesday, especially early in the day, it could represent intraday resistance. That could turn into a multi-day top if previously mentioned sell signals prove accurate. Wednesday will be particularly key given it’s the last day of the month. If we finish above 1200, the monthly moving average strategy will remain on a buy signal, in which case it will be most interesting to see whether CTA’s give up on their bearish outlook.